Yes I know that it is disconnected. But AVAST should show a notification as well every time we visit any malicious site.
An entry would/should be place in the WebShield report file, C:\ProgramData\AVAST Software\Avast\report\WebShield.txt
I would also suggest that you change the default settings for the Web Shield - AvastUI > Components > Web Shield - customise > Actions and set the Primary option to Ask. This will throw up the interactive alert window, so you will get a notification of sorts immediately. Your only other option is Abort Connection, which will close that alert window.
That said when you visit a malicious site (if avast detects it) then it aborts the connection, so you may be left with a blank browser page.